Dynamic consumption and portfolio choice with permanent learning

Hyun-Tak Lee

Finance Research Letters, 2016, vol. 19, issue C, 112-118

Abstract: This paper studies a continuous–time intertemporal consumption and portfolio choice problem when a long–horizon investor who has recursive preferences cannot exactly observe the expected returns of the risky asset. I contribute to belief–behavior solutions to the explicit log-utility case, and to the approximate unit-risk-aversion case. I show explicitly that her belief behavior depends on the parameters of investment opportunities and investor preferences.

Keywords: Optimal consumption; Optimal portfolio; Information quality; Learning (search for similar items in EconPapers)
JEL-codes: C61 G11 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612316301131
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:19:y:2016:i:c:p:112-118

DOI: 10.1016/j.frl.2016.07.001

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().